Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0552 |
| Annualized Std Dev | 0.2077 |
| Annualized Sharpe (Rf=0%) | 0.2659 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5235.0000 |
| NAs | 1.0000 |
| Minimum | -0.1179 |
| Quartile 1 | -0.0051 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1231 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | 0.0258 |
| Kurtosis | 8.7665 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0094 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.6683 |
| Historical VaR (95%) | -0.0207 |
| Historical ES (95%) | -0.0315 |
| Modified VaR (95%) | -0.0188 |
| Modified ES (95%) | -0.0257 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-07-18 | 2009-03-09 | 2014-07-03 | -0.6683 | 3512 | 2172 | 1340 |
| 2020-02-20 | 2020-03-23 | 2020-06-10 | -0.3155 | 78 | 23 | 55 |
| 2018-10-02 | 2018-12-24 | 2019-04-23 | -0.2212 | 139 | 58 | 81 |
| 2015-07-21 | 2016-02-11 | 2016-07-14 | -0.1445 | 249 | 143 | 106 |
| 2020-09-03 | 2020-09-23 | 2020-12-04 | -0.1150 | 65 | 14 | 51 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 1 | 1.6 | 0.5 | 0.1 | -2.2 | -0.1 | 1.9 | -1.9 | 0.8 |
| 2001 | -0.4 | 0.4 | 1 | 2.2 | 1.4 | 1 | 0.6 | 0 | -0.2 | 2.3 | -0.4 | -1.5 | 6.5 |
| 2002 | -0.3 | 2.6 | -0.2 | 0.7 | -0.6 | -2.5 | -3.6 | -0.7 | 3.2 | 1.9 | -0.7 | -0.1 | -0.4 |
| 2003 | 0.7 | 0.6 | 1.6 | 0 | 1.5 | 1 | -1 | 0.5 | 2.2 | -0.4 | 1.4 | 0.4 | 8.8 |
| 2004 | -0.2 | 1 | 0.5 | -0.8 | -0.2 | -1.3 | 0.7 | 0.6 | 1.7 | 0 | 1.4 | 0.2 | 3.7 |
| 2005 | 0.4 | 0.7 | -0.7 | 0.9 | 0.7 | 0.4 | 0 | -0.5 | 0.5 | 0 | 1.3 | -0.8 | 2.9 |
| 2006 | 1 | 1 | 0 | -0.7 | 1.2 | 0.3 | -0.8 | 0.8 | -0.3 | -0.9 | -0.3 | -0.5 | 0.9 |
| 2007 | 0.6 | -0.4 | 0.1 | 0.3 | 0.4 | -0.3 | 0.5 | 0.9 | 0.9 | -1.9 | 0.2 | -1 | 0.3 |
| 2008 | 1.5 | -2.4 | 3.3 | 1.6 | 0.3 | 0.4 | -0.7 | -1.4 | -2.1 | 2.3 | -8.1 | 1.4 | -4.4 |
| 2009 | -2.5 | -1.3 | 1.9 | 0.8 | 3.3 | 0.6 | 0 | -1.8 | -2.2 | -2.3 | 1.2 | -1 | -3.3 |
| 2010 | 1.4 | 1.2 | 0.5 | -1.6 | -1.1 | -0.1 | 0.1 | 3 | 0.4 | 0.1 | 2.1 | -0.1 | 5.8 |
| 2011 | 1.6 | -1.6 | 0.4 | 0.2 | -2.1 | 1.5 | -0.5 | -1 | -2.5 | -2.4 | 0.2 | -0.4 | -6.6 |
| 2012 | 0.9 | 0.6 | 0.2 | 0.3 | -2.6 | 2.7 | -0.3 | 0.9 | 0.3 | 1.4 | -0.1 | 1.9 | 6.3 |
| 2013 | 1 | 0.3 | -0.6 | -0.8 | -1.2 | 1 | 1.3 | -0.4 | 0.9 | 0.2 | 0.1 | 0.4 | 2.2 |
| 2014 | -0.5 | 0.1 | 1.1 | 0.1 | 0.2 | 0.9 | -0.3 | 0.2 | -1.4 | 1.1 | -1.1 | -0.9 | -0.7 |
| 2015 | -1.1 | -0.4 | -0.4 | 1.1 | 0.3 | 0.9 | 0.1 | -2.8 | 0.5 | -0.4 | 0.9 | -1.1 | -2.4 |
| 2016 | 0.4 | 2.6 | 0.8 | -0.5 | 0.1 | 0.3 | 0.3 | 0.2 | 0.6 | -0.7 | -0.9 | -0.6 | 2.5 |
| 2017 | 0.2 | 1.3 | -0.1 | 0.4 | 0.8 | 0.2 | 0.2 | 0.1 | 0.4 | -0.1 | -0.4 | -0.5 | 2.7 |
| 2018 | -0.3 | -1.4 | 1.6 | 0.6 | 1.2 | 0.2 | 0.4 | 0.1 | 0.2 | 1.3 | 0.8 | 1 | 5.8 |
| 2019 | -0.1 | 0.8 | 1.1 | -0.7 | -1.3 | 1.2 | -0.5 | -0.2 | -1 | 0.8 | -0.4 | 0.2 | -0.1 |
| 2020 | -1.8 | 0.1 | -4.3 | -2.6 | 0.6 | 1.4 | 1.6 | 1.6 | 1.3 | -2.3 | 1 | 0.2 | -3.4 |
| 2021 | 2.1 | 2.7 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
